[Math] Finding the MVUE for $\sigma^{2}$ for $\mu$ is known and $\sigma$ is unknown with the normal distribution

statistical-inferencestatistics

I need to find the minimum-variance unbiased estimator for $\sigma^{2}$ when $\mu$ is known and this is a normal distribution.

From an earlier exercise, $\mu$ is known and $\sigma^{2}$ is unknown so our random sample comes from a normal distribution with mean $\mu$ and variance $\sigma^{2}$.

Also, $\sum^{n}_{i=1} (Y_{i}- \mu)^{2}$ is a sufficient statistic for $\sigma^{2}$.

Since $\mu$ is known, we have

$E((Y_{i}- \mu)^{2}) = E((Y_{i}-\mu)(Y_{i}-\mu)) = E((Y_{i})^{2}-2Y_{i}\mu+(\mu)^{2})$

$E((Y_{i}-\mu)^{2}) = E((Y_{i})^{2})-E[2Y_{i}\mu]+E[(\mu)^{2}]$

$E((Y_{i}-\mu)^{2}) = E((Y_{i})^{2})-E[2]E[Y_{i}]E[\mu]+E[(\mu)^{2}]$

$E((Y_{i}-\mu)^{2}) = \mu^{2}-2(\mu)^{2}+(\mu)^{2}$

$E((Y_{i}-\mu)^{2}) = 2\mu^{2}-2(\mu)^{2}$

$E((Y_{i}-\mu)^{2}) = 0$

I must have done something wrong because the terms are not supposed to cancel. I'm suppose to get the variance from $E((Y_{i}-\mu)^{2}) $. Variance is $E[Y_{i}^{2}]-([E[Y_{i}])^{2}$

Just realizing that a sampling distribution related to the normal distribution is $\bar{Y} = \frac{1}{n} \sum^{n}_{i=1} Y_{i}$.

Maybe using that may get me to the variance formula?

Best Answer

So, as Henry pointed out, I forgot the $\sigma^{2}$ when I was taking the expected value of one of the terms.

Since $\mu$ is known, we have

$E((Y_{i}- \mu)^{2}) = E((Y_{i}-\mu)(Y_{i}-\mu)) = E((Y_{i})^{2}-2Y_{i}\mu+(\mu)^{2})$

$E((Y_{i}-\mu)^{2}) = E((Y_{i})^{2})-E[2Y_{i}\mu]+E[(\mu)^{2}]$

$E((Y_{i}-\mu)^{2}) = E((Y_{i})^{2})-E[2]E[Y_{i}]E[\mu]+E[(\mu)^{2}]$

$E((Y_{i}-\mu)^{2}) = \mu^{2} + \sigma^{2}-2(\mu)^{2}+(\mu)^{2}$

$E((Y_{i}-\mu)^{2}) = 2\mu^{2}+ \sigma^{2}-2(\mu)^{2}$

$E((Y_{i}-\mu)^{2}) = \sigma^{2}$

which is the minimum variance unbiased estimator...well more like $\hat{\sigma^{2}}$.